OTEX Options History — September 2015

In September 2015, OTEX traded between $22.02 and $23.43. ATM implied volatility averaged 29.4%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.1% (HV 20d: 21.3%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2015-09-03: Highest Volume — 1,668 contracts
  • 2015-09-28: Largest IV spike — 8.7% change
  • 2015-09-01: Highest IV Rank — 60.8%
  • 2015-09-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.68$22.02$23.43$22.55$22.39
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV29.4%27.0%33.1%33.1%29.1%
Expected Move8.4%7.7%9.5%9.5%8.3%
HV 20d21.3%17.9%24.5%21.0%19.3%
HV 60d44.4%44.0%44.9%44.0%44.6%
IV Rank46.7%37.6%60.8%60.8%45.4%
IV Percentile76.7%71.8%84.1%84.1%75.4%
Term Structure5.5%-1.4%8.5%-1.4%7.9%
VWIV29.8%27.1%37.2%37.2%29.1%
Skew 25d7.0%1.4%14.2%14.2%12.8%
Skew 10d13.3%4.8%25.7%22.7%20.3%
Call IV 25d27.3%23.1%31.3%26.6%25.2%
Put IV 25d34.2%30.0%40.8%40.8%38.0%
Bid-Ask Spread %90.5383.57100.63100.6390.08
Gamma HHI0.260.250.300.300.26
Net GEX-8.4K-76.2K87.9K-47.4K20.4K
Net DEX-803.3K-4.8M1.8M32.1K821.2K
Net VEX-41.6K-48.6K-37.2K-48.6K-37.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.676.670.740.78
Total Volume1,216.476781,6681,4521,550
Total OI16,253.90514,75617,61016,24415,812

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$22.55$22.5033.1%9.5%21.0%60.8%37.2%14.2%-1.4%-47.4K32.1K-48.6K0.74100.63N/AN/A8366166,6589,586
2015-09-02$22.60$22.5031.1%8.9%21.0%53.5%36.4%4.3%-0.4%-60.7K-217.3K-48.5K0.7897.30N/AN/A8646726,6389,626
2015-09-03$22.79$22.5030.0%8.8%21.2%49.5%30.7%6.0%3.4%-62.1K-810.0K-46.3K0.6985.28N/AN/A9886806,6429,724
2015-09-04$22.66$22.5030.9%9.0%21.3%52.8%31.1%4.2%4.7%-56.9K-397.4K-47.0K0.7183.57N/AN/A9606806,7229,732
2015-09-08$22.86$22.5032.2%8.7%21.3%56.7%30.4%5.1%5.3%-56.0K-1.3M-43.9K6.6784.30N/AN/A302006,7229,732
2015-09-09$22.46$22.5030.2%8.7%21.8%49.4%30.2%1.4%4.6%-75.5K-31.9K-43.2K0.6785.64N/AN/A9626486,7449,726
2015-09-10$22.52$22.5029.9%8.6%21.9%48.5%29.8%5.6%5.3%-76.2K-9.3K-43.0K0.7291.07N/AN/A7765566,8529,790
2015-09-11$22.58$22.5029.6%8.5%21.8%47.2%29.9%3.5%6.0%-66.8K-415.7K-43.4K1.0988.81N/AN/A5926447,0589,784
2015-09-14$22.50$22.5030.1%8.6%21.8%49.0%30.3%2.7%5.2%-57.0K-665.7K-42.2K1.0889.29N/AN/A5926427,1789,886
2015-09-15$23.16$22.5029.0%8.3%24.2%45.1%27.4%5.7%5.1%-17.5K-3.4M-40.8K1.7991.92N/AN/A28507,1789,928
2015-09-16$23.43$22.5028.0%8.0%24.5%41.4%28.0%4.2%6.1%22.9K-4.5M-39.0K1.8388.74N/AN/A3867087,1989,920
2015-09-17$23.31$22.5027.2%7.8%24.4%38.4%27.8%4.0%8.5%28.6K-4.8M-37.2K0.9197.33N/AN/A7386747,2429,956
2015-09-18$23.13$22.5027.0%7.7%23.5%37.6%27.1%7.0%7.2%80.6K-4.7M-40.3K1.4084.97N/AN/A5467647,6289,982
2015-09-21$23.20$22.5027.5%7.9%22.6%39.6%27.4%5.9%6.9%87.9K-1.5M-40.2K1.4586.10N/AN/A4266166,2708,486
2015-09-22$22.59$22.5028.6%8.2%21.2%43.5%28.6%5.1%5.6%61.7K-64.2K-38.6K1.5690.46N/AN/A3846006,2748,598
2015-09-23$22.58$22.5027.9%8.0%20.1%41.0%27.9%6.5%7.1%50.3K205.5K-40.9K1.5387.84N/AN/A6309646,4348,676
2015-09-24$22.41$22.5028.1%8.0%18.7%41.7%28.2%13.8%7.0%17.6K711.4K-40.2K1.1894.01N/AN/A5186106,6389,046
2015-09-25$22.37$22.5027.5%7.9%17.9%39.4%27.7%13.2%7.3%21.3K852.6K-38.7K1.2197.85N/AN/A5246366,6729,046
2015-09-28$22.02$22.5029.8%8.6%18.7%48.1%30.1%12.6%6.6%9.0K1.5M-37.7K1.3294.26N/AN/A5166826,6929,036
2015-09-29$22.06$22.5030.7%8.8%18.5%51.4%30.8%8.5%6.7%-1.4K1.8M-37.3K1.2191.72N/AN/A4785806,7029,118
2015-09-30$22.39$22.5029.1%8.3%19.3%45.4%29.1%12.8%7.9%20.4K821.2K-37.3K0.7890.08N/AN/A8706806,7009,112